Quasi likelihood analysis of volatility and nondegeneracy of statistical random field

Masayuki Uchida and Nakahiro Yoshida

Stochastic Processes and their Applications, 2013, vol. 123, issue 7, 2851-2876

Abstract: We construct a quasi likelihood analysis for diffusions under the high-frequency sampling over a finite time interval. For this, we prove a polynomial type large deviation inequality for the quasi likelihood random field. Then it becomes crucial to prove nondegeneracy of a key index χ0. By nature of the sampling setting, χ0 is random. This makes it difficult to apply a naïve sufficient condition, and requires a new machinery. In order to establish a quasi likelihood analysis, we need quantitative estimate of the nondegeneracy of χ0. The existence of a nondegenerate local section of a certain tensor bundle associated with the statistical random field solves this problem.

Keywords: Asymptotic mixed normality; Bayes type estimator; Convergence of moments; Discrete time observation; Maximum likelihood type estimator; Polynomial type large deviation inequality (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:123:y:2013:i:7:p:2851-2876

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DOI: 10.1016/j.spa.2013.04.008

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